Estimating and Testing Nonlinear Local Dependence Between Two Time Series

DOI10.1080/07350015.2017.1407777MaRDI QIDQ6634895zbMATH OpenFDO

Authors Virginia Lacal, Dag Tjøstheim

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 854585 (Why is no real title available?)
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• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
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• The Stationary Bootstrap
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• The jackknife and the bootstrap for general stationary observations
• The locally Gaussian density estimator for multivariate data

Cited in

(2)

• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• The Locally Gaussian Partial Correlation

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